VaR and Tail Dependence Between the US and Asian Stock Exchange Indices-An EGARCH-Copula Approach

被引：0

作者：

Ma, Ji ^{[1
,2
]}

Liu, Jiangxu ^{[1
]}

Sriboonchitta, Songsak ^{[1
]}

机构：

[1] Chiang Mai Univ, Fac Econ, Chiang Mai, Thailand

[2] Yunnan Acad Social Sci, Kunming, Yunnan, Peoples R China

来源：

FUZZY SYSTEMS AND DATA MINING III (FSDM 2017) | 2017年 / 299卷

关键词：

Portfolio; tail dependence; value at risk; copula; RISK; OIL;

D O I：

10.3233/978-1-61499-828-0-79

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR.

引用

页码：79 / 84

页数：6

共 50 条

[21] Dependence between stock returns and investor sentiment in Chinese markets: A copula approach
Xunfa Lu
Kin Keung Lai
Liang Liang
[J]. Journal of Systems Science and Complexity, 2012, 25 : 529 - 548
[22] Dependence between stock returns and investor sentiment in Chinese markets: A copula approach
Lu, Xunfa
Lai, Kin Keung
Liang, Liang
[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2012, 25 (03) : 529 - 548
[23] Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skewt-EGARCH-EVT-copula approach
Chen, Jiusheng
[J]. JOURNAL OF RISK, 2023, 25 (03): : 77 - 127
[24] Dependence Structure between TOURISM and TRANS Sector Indices of the Stock Exchange of Thailand
Puarattanaarunkorn, O.
Kiatmanaroch, T.
Sriboonchitta, S.
[J]. THAI JOURNAL OF MATHEMATICS, 2014, : 199 - 210
[25] Volatility and tail dependence between sustainable stock indices during the COVID-19 pandemic
Janik, Bogna
Pluciennik, Piotr
[J]. EKONOMIA I PRAWO-ECONOMICS AND LAW, 2022, 21 (04): : 693 - 710
[26] The stable tail dependence and influence among the European stock markets: a score-driven dynamic copula approach
Barnett, William A.
Wang, Xue
Xu, Hai-Chuan
Zhou, Wei-Xing
[J]. EUROPEAN JOURNAL OF FINANCE, 2023, 29 (16): : 1933 - 1956
[27] Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach
Rajwani, Shegorika
Kumar, Dilip
[J]. GLOBAL BUSINESS REVIEW, 2019, 20 (04) : 962 - 980
[28] The Dynamic Tail Dependence Risk between ZXI and CSCS: A Time-varying Copula Approach
Li, Qiang
Li, Shunyi
[J]. INFORMATION TECHNOLOGY FOR RISK ANALYSIS AND CRISIS RESPONSE, 2014, 102 : 40 - 47
[29] Analysing dynamic dependence between gold and stock returns: Evidence using stochastic and full-range tail dependence copula models
Boako, Gideon
Tiwari, Aviral Kumar
Ibrahim, Muazu
Ji, Qiang
[J]. FINANCE RESEARCH LETTERS, 2019, 31 : 391 - 397
[30] Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach
Ngo Thai Hung
[J]. EASTERN JOURNAL OF EUROPEAN STUDIES, 2020, 11 (01) : 62 - 86

← 1 2 3 4 5 →